Results 71 to 80 of about 2,872 (161)
Journal of Money, Credit and Banking, EarlyView.Abstract Using confidential daily data, we examine the Bank of Israel's foreign exchange interventions from 2013 to 2019. We find that a 1 billion U.S. dollars (USD) purchase leads to a 0.82% depreciation of the Israeli Shekel (ILS)–a strong effect compared to other studies.
MARKUS HERTRICH, DANIEL NATHAN
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Bitcoin Cycle through Markov Regime-Switching Model
Engineering ProceedingsWe analyzed Bitcoin’s cyclical patterns used by the Markov regime-switching model and explored the impacts of inflation and the US Dollar Index on Bitcoin’s cyclicality.
Yi-Chun Shih +2 more
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Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
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Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
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On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
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Sakarya Üniversitesi İşletme Enstitüsü DergisiBu çalışma, Borsa İstanbul 100 Endeksi (BIST 100) getirilerinin enflasyon, döviz kuru, küresel risk algısı ve petrol fiyatları karşısındaki tepki yapısını incelemektedir.
Serkan Durmaz, Hamid Yeşilyayla
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U.S.‐China Tensions and Macroeconomic Fluctuations
The Manchester School, EarlyView.ABSTRACT Business cycles and macroeconomic fluctuations are influenced by various factors. This paper analyzes the impact of the U.S.‐China Tension Index (UCT) on macroeconomic fluctuations in 32 countries using time series models from January 1999 to February 2024. The VAR model reveals that UCT shocks generate financial volatility and fluctuations in
Luccas Assis Attílio
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Is There an Information Channel of Monetary Policy?
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Exploiting the heteroskedasticity of the changes in short‐term and long‐term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables.
Oliver Holtemöller +2 more
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Climate Shocks and Unemployment Claims
Scottish Journal of Political Economy, EarlyView.ABSTRACT Using a US state–level climate risk measure and the panel local projections framework, this study analyzes both linear and asymmetric effects of climate shocks on unemployment claims. The results provide strong evidence that climate shocks significantly increase both initial and continuing claims, with the linear estimates showing a stronger ...
Abeeb Olaniran +3 more
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Veterinary Ophthalmology, Volume 28, Issue 2, Page 253-263, March 2025.Abstract Objective To determine and compare the fixation strength of conjunctival pedicle flaps to cornea achieved via conventional ophthalmic suture and three different adhesive compounds. Animals Studied Ex vivo porcine globes. Procedures Following a 6 mm wide 500‐micron‐restricted depth lamellar keratectomy, conjunctival pedicle flaps were secured ...
Elodie M. VerHulst +4 more
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